Comparison of different estimation techniques for portfolio selection

DOI10.1007/S10182-007-0026-1zbMath1331.62404OpenAlexW2031160779MaRDI QIDQ636161

Wolfgang Schmid, Yarema Okhrin

Publication date: 25 August 2011

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47547/47547.pdf

zbMATH Keywords

shrinkage estimationmean-variance analysisportfolio analysisestimation of portfolio weights

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (8)

Statistical inference of the efficient frontier for dependent asset returns ⋮ A risk perspective of estimating portfolio weights of the global minimum-variance portfolio ⋮ Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace ⋮ Bayesian estimation of the global minimum variance portfolio ⋮ No-transaction bounds and estimation risk ⋮ Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown ⋮ On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory

Cites Work

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• A well-conditioned estimator for large-dimensional covariance matrices
• Distributional properties of portfolio weights
• Families of minimax estimators of the mean of a multivariate normal distribution
• Estimation for Markowitz Efficient Portfolios
• Modeling asset returns with alternative stable distributions^*
• Prediction and Decision Problems in Regression Models from the Bayesian Point of View
• Portfolio Analysis in a Stable Paretian Market

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